I am building a new rig and have been looking at parts. Specifically I was looking at the Radeon HD 6850/6870. I noticed that they have triple monitor support. With Triple Monitoring the goal, in this scenario, is it better go with the Radeon HD 6850/6870 or three lesser video cards? (an in general answer will suffice)

For gaming? I'd go with the single better card and possibly add a second later. 3-way Crossfire, IMO, isn't worth the trouble unless you need a massive amount of power and you're going to use 3 high-end cards.

A friend told me it might be better to go with the GTX 460 and overclock it, it would be better then the Radeon HD 6870. Any idea if it really is?

It's a bit of a toss-up. It looks like an OC'd 460 might do better at higher resolutions if you go with the 1GB version. I don't think either would necessarily be a big mistake.

They compare a OC'd 460 1GB to a 6870 in this article:
http://www.anandtech.com/show/3987/amds-radeon-6870-6850-renewing-competition-in-the-midrange-market/1